Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0890
Annualized Std Dev 0.2074
Annualized Sharpe (Rf=0%) 0.4293

Row

Daily Return Statistics

Close
Observations 3457.0000
NAs 1.0000
Minimum -0.1237
Quartile 1 -0.0049
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0070
Maximum 0.0974
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0131
Skewness -0.5862
Kurtosis 8.1021

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0085
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.5449
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0329
Modified VaR (95%) -0.0210
Modified ES (95%) -0.0440
From Trough To Depth Length To Trough Recovery
2007-10-12 2009-03-09 2013-02-01 -0.5449 1326 350 976
2020-02-20 2020-03-23 2020-07-08 -0.3466 97 23 74
2018-09-17 2018-12-24 2019-06-20 -0.2477 191 69 122
2015-08-19 2016-02-08 2016-07-08 -0.1533 224 119 105
2021-02-16 2021-03-08 NA -0.1332 25 15 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -1 0.9 -2.2 1 0.3 -2.1 0.1 -1.1 -4
2008 1.5 -3.2 2.9 0.2 0.4 -0.6 -1.3 -0.5 -1.4 2.2 -6.1 3.3 -3.1
2009 -1.4 -0.4 0 -0.4 4.1 1 0.4 -1.3 -2.5 -2.7 1.3 -0.8 -2.9
2010 2.1 2.3 0.9 -2.4 -2.2 0 0.4 3.1 0.3 0 2.2 -0.3 6.5
2011 1.5 -1.8 0.4 0.4 -2.2 1.6 -0.6 -1.1 -2.8 -2.1 0.1 -0.8 -7.2
2012 1 0.5 0.4 0.7 -3.4 3 -0.7 0.5 0.1 1.2 -0.1 1.8 5
2013 0.9 0.3 -0.9 -0.9 -1.4 0.3 1.6 -0.5 0.8 0.2 -0.2 0.4 0.7
2014 -0.5 0.1 1.3 0.1 0.2 1.2 0.1 0.4 -1.5 1.4 -1.1 -0.9 0.9
2015 -2 -0.1 -0.8 1.6 0.4 0.8 0.1 -2.8 0.6 -0.2 1.1 -1 -2.3
2016 0.6 2.2 1 -0.5 0.1 0.2 -0.2 0 0.4 -0.8 -1.9 -0.7 0.4
2017 -0.3 1.3 -0.1 0.5 0.9 0.5 0.1 0 0.8 -0.4 -0.5 -0.3 2.6
2018 0 -1.3 2.1 0.2 1.6 0.4 -0.1 0.1 0.3 1.3 0.5 1.3 6.6
2019 0.4 0.7 1 -1.3 -0.8 0.8 -0.6 -0.5 -1.3 0.2 -0.5 0.2 -1.8
2020 -1.7 -0.7 -5.2 -2.7 0.6 1.1 0.3 1.1 1.3 -2.7 0.1 0.1 -8.3
2021 1.9 3.1 1.1 NA NA NA NA NA NA NA NA NA 6.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-11  29.9 SPY    151.  0.0086  -0.0004   0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  6.80e-3 -0.0255 
2 2007-05-23  30.4 SPY    152.  0.0001   0.0055   0.0292   0.045     0.209    0.391    0.402 GLD    65.5  4.90e-3 -0.0009 
3 2007-05-24  30.1 SPY    151. -0.0091  -0.0016   0.0106   0.0396    0.207    0.376    0.387 GLD    64.8 -1.21e-2 -0.00480
4 2007-06-05  30.6 SPY    153. -0.004    0.0082   0.017    0.0987    0.190    0.357    0.471 GLD    66.4 -2.60e-3  0.02   
5 2007-06-06  30.3 SPY    152. -0.0107  -0.0107   0.0059   0.088     0.194    0.355    0.451 GLD    66.4  6.00e-4  0.0261 
6 2007-06-07  29.8 SPY    149. -0.018   -0.0275  -0.0109   0.0594    0.176    0.320    0.412 GLD    65.3 -1.73e-2 -0.0043 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart